Your friend is, by definition, bisexual. I wouldn't be surprised if he is more gay than straight but he's afraid to admit it to himself because of internalized homophobia. Or he could lean toward the hetero side of the spectrum and feel ashamed of his homoerotic desires.
Either way, he has to come to terms with his sexuality in his own way and in his own time. I suggest being honest with him about your feelings while at the same time respecting his right and need to come to his own decisions.
While such direct communication might lead to the cessation of your sexual intimacies, much better to be honest and open the door to an even richer, more meaningful friendship than to relate with each other as if parts of each of you don't exist. Plus, if it turns out he is gay you will have helped him tremendously by modeling self-acceptance and you could be laying the foundation for a beautiful romantic relationship.
I hope this helps.
Mark worthen, psy.D.
P.S. By offering this advice I am not establishing a professional relationship with you or any reader of this post. I encourage you to seek professional counseling in your community if you are concerned about depression or any other psychological challenges. Just make sure you see a gay-affirmative therapist. That may seem obvious but many gay and lesbian people see any therapist and a good number of mental health professionals are homophobic. You have a right to ask, "do you practice gay-affirmative psychotherapy?"